I'm remembering two lilo config utilities. One called liloconf which set's up lilo the slackware way, the other called vliloconf, which of course does it the Vectorway. Try running vliloconf as root and let us know where that takes you.

You'll need to chose labels without any spaces ('VectorLinux' or 'Vector_Linux' are good; 'Vector Linux' is not). When you change a 'label' for the primary boot option, you'll need to make sure your 'default' choice (towards the top of lilo.conf) matches. Last, as granny mentioned, you'll need to edit lilo.conf as root and run 'lilo -v' when you're done making the changes (also as root). If the output from the command 'lilo -v' reports any errors then you should not reboot until those are fixed - warnings are (almost always) okay.